Fat-Tailed and Skewed Asset Return Distributions : Implications for Risk Management, Portfolio Selection, and Option Pricing

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9780471718864: Fat-Tailed and Skewed Asset Return Distributions : Implications for Risk Management, Portfolio Selection, and Option Pricing
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While mainstream financial theories and applications assume that asset returns are normally distributed, overwhelming empirical evidence shows otherwise. Yet many professionals don’t appreciate the highly statistical models that take this empirical evidence into consideration. Fat-Tailed and Skewed Asset Return Distributions examines this dilemma and offers readers a less technical look at how portfolio selection, risk management, and option pricing modeling should and can be undertaken when the assumption of a non-normal distribution for asset returns is violated. Topics covered in this comprehensive book include an extensive discussion of probability distributions, estimating probability distributions, portfolio selection, alternative risk measures, and much more. Fat-Tailed and Skewed Asset Return Distributions provides a bridge between the highly technical theory of statistical distributional analysis, stochastic processes, and econometrics of financial returns and real-world risk management and investments.

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From the Back Cover:

Fat-Tailed and Skewed Asset Return Distributions

While mainstream financial theories and applications assume thatasset returns are normally distributed, the overwhelming empiricalevidence shows otherwise. Yet many professionals fail to appreciatethe highly statistical models that take this empirical evidenceinto consideration.

Svetlozar Rachev, Christian Menn, and Frank Fabozzi understandthis dilemma, and in Fat-Tailed and Skewed Asset ReturnDistributions, they offer you a less technical look at howportfolio selection, risk management, and option pricing modelingshould and can be undertaken when the assumption of a non-normaldistribution for asset returns is violated.

Topics covered in this comprehensive book include:

  • An extensive discussion of probability distributions used infinance
  • Estimating probability distributions
  • The basics of stochastic processes
  • Portfolio selection and alternative risk measures
  • Market, credit, and operational risk measurement
  • Black-Scholes option pricing model and its extensions when themodel's assumptions are modified to meet the empiricaldistributional evidence and tests
  • And much more

Fat-Tailed and Skewed Asset Return Distributions provides abridge between the highly technical theory of statisticaldistributional analysis, stochastic processes, and econometrics offinancial returns and real-world risk management andinvestments.

About the Author:

SVETLOZAR T. RACHEV, PhD, DR. SCI, is currently Chair-Professor atthe University of Karlsruhe in the School of Economics and BusinessEngineering and Professor Emeritus at the University of California.He is also the founder of Bravo Risk Management Group and ChiefScientist of FinAnalytica.

CHRISTIAN MENN, DR. RER. POL., is Hochschulassistent at theChair of Statistics, Econometrics and Mathematical Finance at theUniversity of Karlsruhe. Currently, he is a Visiting Scientist atthe School of Operations Research and Industrial Engineering atCornell University as a postdoctoral fellow.

FRANK J. FABOZZI, PhD, CFA, CPA, is the Frederick Frank AdjunctProfessor of Finance at Yale University's School of Management. Heis also a Fellow of the International Center for Finance at YaleUniversity. Prior to joining the Yale faculty, Fabozzi was avisiting professor of finance in the Sloan School at MIT. Fabozzihas authored and edited many acclaimed books in finance and is alsothe Editor of the Journal of Portfolio Management.

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Book Description John Wiley & Sons Inc, United States, 2005. Hardback. Condition: New. 1. Auflage. Language: English. Brand new Book. While mainstream financial theories and applications assume that asset returns are normally distributed, overwhelming empirical evidence shows otherwise. Yet many professionals don't appreciate the highly statistical models that take this empirical evidence into consideration. "Fat Tailed and Skewed Asset Return Distributions" examines this dilemma and offers readers a less technical look at how portfolio selection, risk management, and option pricing modeling should and can be undertaken when the assumption of a non normal distribution for asset returns is violated. Topics covered in this comprehensive book include an extensive discussion of probability distributions, estimating probability distributions, portfolio selection, alternative risk measures, and much more. "Fat Tailed and Skewed Asset Return Distributions" provides a bridge between the highly technical theory of statistical distributional analysis, stochastic processes, and econometrics of financial returns and real world risk management and investments. Seller Inventory # AAH9780471718864

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Book Description John Wiley and Sons Ltd, United States, 2005. Hardback. Condition: New. 1. Auflage. Language: English. Brand new Book. While mainstream financial theories and applications assume that asset returns are normally distributed, overwhelming empirical evidence shows otherwise. Yet many professionals don't appreciate the highly statistical models that take this empirical evidence into consideration. "Fat Tailed and Skewed Asset Return Distributions" examines this dilemma and offers readers a less technical look at how portfolio selection, risk management, and option pricing modeling should and can be undertaken when the assumption of a non normal distribution for asset returns is violated. Topics covered in this comprehensive book include an extensive discussion of probability distributions, estimating probability distributions, portfolio selection, alternative risk measures, and much more. "Fat Tailed and Skewed Asset Return Distributions" provides a bridge between the highly technical theory of statistical distributional analysis, stochastic processes, and econometrics of financial returns and real world risk management and investments. Seller Inventory # AAH9780471718864

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